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The expected return of the market portfolio is 8% and the risk-free rate is 2%. Hedge fund A has an expected return of 10%, a beta of 1.5, and a standard deviation of 20%. Hedge fund B has an expected return of 7%, a beta of 0.75, and a standard deviation of 15%. Which fund has the best performance using the CAPM as a benchmark and why? (Hint: do not assume that the CAPM is true; use it as a benchmark to evaluate each fund’s performance.)
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The expected return of the market portfolio is 8% and the risk-free rate is 2%. Hedge fund A has an...
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